A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

• DOI: 10.1093/rfs/7.3.539
• Publication Date: 2002-07-26T22:58:17Z
• Authors: Jacob Boudoukh; Matthew P. Richar...; Robert F. Whitelaw
• Keywords: 8. Economic growth; 0502 economics and business; 05 social sciences

This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns.